Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2180052
Analyzing Markov dependence-switching between E7 stock markets
Mohd Ziaur Rehman
Aviral Kumar Tiwari
Durga Prasad Samontaray
Sažetak
We investigate the dependence structure among the seven emerging
stock markets namely Brazil, China, India, Indonesia, Mexico,
South Korea, and Turkey for the period 2000 to 2018 by employing a
dependence-switching copula model. This model allows us to investigate
the tail dependence and regime shift between positive and
negative correlation for bull and bear stock pairs. Our overall results
show that under the negative correlation regime, only 8 out of 21
paired stock markets have asymmetric dependence, and 6 out of 21
paired stock markets have asymmetric tail dependence. Although
the emerging stock markets are deemed by the global investors to
be a homogenous class, these stock markets manifest varied degree
of traits. Henceforth, from a portfolio diversification perspective, the
global investors can exploit the diversification opportunities offered
by the selected stock markets. These findings have appropriate
implications from the perspective of asset pricing and risk management.
The study recommends that regulators should provide a roadmap
for identifying risk’s effects across the selected emerging stock
markets. Moreover, policy makers should consider what further
financial collaboration they intend to pursue for enabling greater
accessibility to the selected emerging stock markets.
Ključne riječi
Dependence structure; emerging stock markets; copula model; asymmetric dependence; symmetric dependence
Hrčak ID:
306510
URI
Datum izdavanja:
31.3.2023.
Posjeta: 154 *